A copula-based partition Markov procedure

作者：Fernandez M.; Garcia Jesus E.; Gonzalez-Lopez V. A.^*

来源：Communications in Statistics - Theory and Methods, 2018, 47(14): 3408-3417.

DOI：10.1080/03610926.2017.1359291

• Bayesian information criterion
• copula distribution function
• Markov chains
• the curse of dimensionality

The number of parameters needed to specify a discrete multivariate Markov chain grows exponentially with the order and dimension of the chain, and when the size of the database is not large enough, it is not possibly a consistent estimation. In this paper, we introduce a strategy to estimate a multivariate process with an order greater than the order achieved using standard procedures. The new strategy consists in obtaining a partition of the state space which is constructed from a combination of the partitions corresponding to the marginal processes and the partitions corresponding to the multivariate Markov chain.

• 出版日期2018